My question has 2 parts.....
(A)- Is there a way by which a .java or .class file can be converted to .exe file.
I mean how can one create java executable.....so that there is no need to set PATH & program can be executed by a simple Double-click.
(B)-Is it possible that a java program can be executed even if Java run time environment is not present (A Java Exe that doesn't need JRE etc.)

Yes this is possible, time ago I was playing with J2EXE. Only problem you have is that those exe's have included a while JVM, what makes them about 25 Mb. Are you sure you want this? I think it is much nicer to give your users a link to a JVM, which will be installed nicely, so it will also take care of applets and so on.